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Though simple inflationary models describe the CMB well, their corrections are often plagued by infrared effects that obstruct a reliable calculation of late-time behaviour. We adapt to cosmology tools designed to address similar issues in…
In this paper we explain the wild fluctuations of financial prices from the intrinsic amplifying feedback of speculative supply and demand. Formally, we show that an asset return follows a multiplicative random growth with exogenous input,…
This paper shows that jumps in financial asset prices are often erroneously identified and are, in fact, rare events accounting for a very small proportion of the total price variation. We apply new econometric techniques to a comprehensive…
The analysis of the intraday dynamics of correlations among high-frequency returns is challenging due to the presence of asynchronous trading and market microstructure noise. Both effects may lead to significant data reduction and may…
Anomalous diffusions arise as scaling limits of continuous-time random walks (CTRWs) whose innovation times are distributed according to a power law. The impact of a non-exponential waiting time does not vanish with time and leads to…
Starting from a basic model in which the dynamic of the transaction prices is a geometric Brownian motion disrupted by a microstructure white noise, corresponding to the random alternation of bids and asks, we propose moment-based…
We consider the amount of energy dissipated during individual avalanches at the depinning transition of disordered and athermal elastic systems. Analytical progress is possible in the case of the Alessandro-Beatrice-Bertotti-Montorsi (ABBM)…
We discuss the effect of stochastic resonance in a simple model of magnetic reversals. The model exhibits statistically stationary solutions and bimodal distribution of the large scale magnetic field. We observe a non trivial amplification…
In this article we consider the volatility inference in the presence of both market microstructure noise and endogenous time. Estimators of the integrated volatility in such a setting are proposed, and their asymptotic properties are…
Smith microfacet models are widely used in computer graphics to represent materials. Traditional microfacet models do not consider the multiple bounces on microgeometries, leading to visible energy missing, especially on rough surfaces.…
We describe a continuous-time modelling framework for biological population dynamics that accounts for demographic noise. In the spirit of the methodology used by statistical physicists, transitions between the states of the system are…
We construct a price impact model between stocks in a correlated market. For the price change of a given stock induced by the short-run liquidity of this stock itself and of the information about other stocks, we introduce a self- and a…
Several years ago, in the context of the physics of hysteresis in magnetic materials, a simple stochastic model has been introduced: the ABBM model. Later, the ABBM model has been advocated as a paradigm for a broad class of diverse…
We provide a general probabilistic framework within which we establish scaling limits for a class of continuous-time stochastic volatility models with self-exciting jump dynamics. In the scaling limit, the joint dynamics of asset returns…
Energy efficiency gains in production and consumption are undisputed economic and environmental goals. However, potential energy savings derived from efficiency innovations may have short-lasting effects due to increased demand for more…
This research extends the conventional concepts of the bid--ask spread (BAS) and mid-price to include the total market order book bid--ask spread (TMOBBAS) and the global mid-price (GMP). Using high-frequency trading data, we investigate…
Financial correlations play a central role in financial theory and also in many practical applications. From theoretical point of view, the key interest is in a proper description of the structure and dynamics of correlations. From…
Fluctuations of observables as functions of time, or "fluctuation patterns", are studied in a chaotic microscopically reversible system that has irreversibly reached a nonequilibrium stationary state. Supposing that during a certain, long…
We show that large, slowly driven systems can evolve to a self-organized critical state where long range temporal correlations between bursts or avalanches produce low frequency $1/f^{\alpha}$ noise. The avalanches can occur instantaneously…
We investigate the general problem of how to model the kinematics of stock prices without considering the dynamical causes of motion. We propose a stochastic process with long-range correlated absolute returns. We find that the model is…